1、1,CHAPTER 11,经济风险的度量与管理,2,CHAPTER OVERVIEW,I. 外汇风险和经济风险 II. 汇率变化的经济后果 III. 经济风险的确认 IV. 经济风险的计算 V. 度量外汇风险的数量方法 VI. 经营风险管理,3,PART I. 外汇风险和经济风险,I. 外汇风险A. 经济风险以汇率变化之下公司价值的变动程度为依据.1 . Expectations about the fluctuation must be incorporated in all basicdecisions of the firm.,4,FOREIGN EXCHANGE RISK AND EC
2、ONOMIC EXPOSURE,2. 定义:a. 会计角度影响企业的资产负债表b. 经济风险1.) 交易风险 2.) 经营风险 332经济风险的时间模型,5,FOREIGN EXCHANGE RISK AND ECONOMIC EXPOSURE,实际汇率P333,6,FOREIGN EXCHANGE RISK AND ECONOMIC EXPOSURE,B. 实际汇率和风险1. 名义和实际汇率:the real rate has been adjusted for price changes.,7,FOREIGN EXCHANGE RISK AND ECONOMIC EXPOSURE,3. 小
3、结a. 没有相对价格变动,跨国公司不会面临真正的经营汇率风险.只要公司避免用外币条款签约.b. 币值变化对企业的影响取决于汇率变化是否被通货膨胀率之间的差异完全抵消,或者是滞实际汇率相对价格也发生变化.,8,PART II.汇率变化的经济后果,II. 经济后果A. 交易风险:源于需要用外币结算的不同类型的交易1. On-balance sheet2. Off-balance sheet,9,THE ECONOMIC CONSEQUENCES OF EXCHANGE RATE CHANGES,II. 经济后果(cont)B. 经营风险 : 实际汇率3381. 需求价格弹性 2. 差异性3. 公司
4、的生产地和原料来源在不同国家之间灵活转换的能力是确定公司受外汇风险影响的另一个重要因素,10,THE ECONOMIC CONSEQUENCES OF EXCHANGE RATE CHANGES,II. 小结一些经济因素,如公司经营的方式,公司生产原料的来源情况,以及实际汇率波动等都要比任何会计上的定义重要的多.,11,PART III. IDENTIFYING ECONOMIC EXPOSURE,III. 经济风险的确认A. ASPEN SKIING COMPANY3411. Firms exchange rate risk affected its sales revenues.,12,I
5、DENTIFYING ECONOMIC EXPOSURE,A. ASPEN SKIING COMPANY (cont)2. Although there was no translationrisk, the global market with its exchange rate risk and its competitors impacted market demand.,13,IDENTIFYING ECONOMIC EXPOSURE,B. PETROLEOS MEXICANOS (PEMEX)3421. The firms exchange rate riskaffected cos
6、t but not revenues.2. Economic impacta. Revenues: noneb. Costs: decreasedc. Net effect: increased US$ flows,14,IDENTIFYING ECONOMIC EXPOSURE,C. TOYOTA MOTOR COMPANY3431. Exchange rate risk affected BOTHrevenues and costs.2. Flow back effect:previously exported goods returnwith increased domestic com
7、petition.3. Lower profit margins domestically,15,PART IV.经济风险的计算344,IV. A quantitative assessment of economicexposure depends on underlying assumptions concerning: 348A. future cash flows;B. sensitivity to exchange ratechanges.,16,PART V.度量外汇风险的数量方法,V. NEED FOR A WORKABLE APPROACH A. Regression Anal
8、ysis1. Variablesa. Independent: changes in parents cash flowsb. Dependent:Average nominal exchange rate change.,17,AN OPERATIONAL MEASURE OF EXCHANGE RISK,B. REGRESSION EQUATION-approach based on the operational definition of the exchange risk faced by a parent or one of its affiliates:-a company fa
9、ces exchange risk to the extent that variations in the dollar value of the units cash flows are correlated with variations in the nominal exchange rate,18,PART V.度量外汇风险的数量方法,where CFt = CFt - CFt-1 andCFt is the dollar value of total affiliate(parent)cash flows in period tEXCHt = EXCHt - EXCHt-1 equ
10、als the average nominal exchange rate during period tu = a random error term,19,AN OPERATIONAL MEASURE OF EXCHANGE RISK,1. Output measures:a. Beta coefficient (b)measures the association of changes in cash flows to exchange rate changes.,20,AN OPERATIONAL MEASURE OF EXCHANGE RISK,b. the higher the p
11、ercentage change of cash flow to changes in exchange rates, the greater the economic exposure (higher beta values).,21,AN OPERATIONAL MEASURE OF EXCHANGE RISK,VI. SUMMARY:A. The focus of the accounting profession on the balance sheet impact of currency changes has led to ignoring the important impac
12、t on future cash flows.,22,AN OPERATIONAL MEASURE OF EXCHANGE RISK,B. For firms incurring costs and selling products in foreign countries, the net effect of currency changes may be less important in the long run.,23,AN OPERATIONAL MEASURE OF EXCHANGE RISK,C. To measure exposure properly, you must fo
13、cus on inflation-adjusted or real exchange rates instead of nominal or actual exchange rates.,24,AN OPERATIONAL MEASURE OF EXCHANGE RISK,D. It is difficult in practice to determine what the actual economic impact of a currency change will be.,25,PART VI.经营风险管理,I. 引言提高市场营销和生产的主动性,从而保证公司长期的获利能力.A. 可以轻
14、易地为交易风险进行套期保值，不过与使用其他货币的公司进行所带来的竞争性风险是长期存在的，需要更长期的经营调整,26,MANAGING OPERATING EXPOSURE,B. Proactive Marketing and ProductionInitiatives 1. 营销管理:市场选择定价策略产品策略产品创新,27,MANAGING OPERATING EXPOSURE,B. Proactive Marketing and ProductionInitiatives (cont)2. 生产管理:产品源和厂址选择投入搭配在各个工厂间转移生产生产调整提高生产力,28,MANAGING OP
15、ERATING EXPOSURE,II. 汇率变化的计划A. 建议使用的营销和生产策略要求有对汇率变化的认知和假设尽管币值变化难以预测，但制定应急计划还是有必要的,29,MANAGING OPERATING EXPOSURE,B. Pricing strategy: Expectations critical1. If HC value falls, exporter gainscompetitive advantage by increasing unit profitability and market share.2. The higher price elasticity of dem
16、and, the more currency riskthe firm faces by product substitution.,30,MANAGING OPERATING EXPOSURE,3. Following HC depreciation, localfirm may have much more freedom in its pricing.C. Promotional Strategy,31,MANAGING OPERATING EXPOSURE,D. Product Strategyexchange rate changes may alter1. The timing o
17、f new product introductions,2. Product deletion ,3. Product innovation.,32,MANAGING OPERATING EXPOSURE,III. Product Management Adjustmentsproduct sourcing and plant location are the principal variables to manipulate.A. Input mixB. Shift production among plantsC. Plant locationD. Raising productivity
18、,33,MANAGING OPERATING EXPOSURE,IV. Planning For Exchange-Rate ChangesA. With better planning and more competitive options, firms can change strategies substantiallyB. before the impact of an currency change makes itself felt.C. Implication: compaction of adjustment period following an exchange-rate
19、 change.,34,MANAGING OPERATING EXPOSURE,V.外汇风险的融资管理所有的营销和生产战略调整有一个特征，有效实现这些调整需要时间财务管理的作用就是调节公司的债务结构，从而在经营策略调整期间使资产收益的降低与债务成本的下降相匹配.,35,MANAGING OPERATING EXPOSURE,C. Design the evaluation criteria so that operating managers neitherrewarded or penalized forunexpected exchange-ratechanges.D. Estimate and hedge the operatingexposure after adjustments made.,
